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Models for Bundle Trading in Financial Markets

Author

Listed:
  • Jawad Abrache
  • Teodor Gabriel Crainic
  • Michel Gendreau

Abstract

Bundle trading is a new trend in financial markets that allows traders to submit consolidated orders to sell and buy packages of assets. We propose a new formulation for portfolio bundle trading that extends the previous models of the literature through a more detailed representation of portfolios and the formulation of new bidding requirements. We also present post-optimality tie-breaking procedures intended to discriminate equivalent orders on the basis of their submission times. Numerical results evaluate the "bundle"" effect as well as the bidding flexibility and the computational complexity of our formulation." Une nouvelle tendance dans les marchés financiers consiste à transiger des valeurs financières sous forme d'ordres composites d'achat et de vente. Nous proposons une nouvelle formulation basée sur les ordres composites du problème d'allocation de valeurs financières. Notre modèle, comparativement à ceux de la littérature, permet une représentation plus détaillée des portefeuilles financiers et la formulation de nouvelles contraintes transactionnelles. Nous présentons en outre une procédure de discrimination d'ordres équivalents sur la base de leur temps de soumission. Les résultats numériques de notre étude permettent d'évaluer empiriquement l'effet « ordres composites », ainsi que la flexibilité et la complexité numérique de notre formulation.

Suggested Citation

  • Jawad Abrache & Teodor Gabriel Crainic & Michel Gendreau, 2002. "Models for Bundle Trading in Financial Markets," CIRANO Working Papers 2002s-84, CIRANO.
    • Handle: RePEc:cir:cirwor:2002s-84
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    File URL: https://cirano.qc.ca/files/publications/2002s-84.pdf
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    References listed on IDEAS

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